A website wants to open web content using this program on your computer

Today when I launched Internet explorer and opened a site, IE had repeatedly warned me with below message.

I was opening a news portal and I knew there would be nothing fishy on that portal so I clicked on 'Allow'. But IE bugged me with the same warning again and again even after selecting 'Do not show me the warning for this program again'. I realized that some thing has changed in the setting and then grabbed my attention was the below on the status bar of IE.

When I moved the mouse cursor over the protected mode text it showed a pop-up saying "Double click to change security settings". I did that and then it showed the security settings window.

I unchecked "Enable Protected mode" and restarted IE. Things were fine after that. Please note that protected mode is a security feature and it is not safe to disable it especially if you are logged in with administrator privileges.